𝔖 Bobbio Scriptorium
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092013 (M10) Stationary distributions for multidimensional reflected diffusions with jumps - normal reflections case : Mazumber R., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
95 KB
Volume
20
Category
Article
ISSN
0167-6687

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✦ Synopsis

The statistical estimation problem of (high) quantiles plays a fundamental role in both insurance and finance. For instance the pricing of Catastrophe Excess of Loss (CAT-XL) covers gives an example of the former, whereas the estimation of Value-at-Risk (VaR) in risk management corresponds to the latter. The standard methodology underlying quantile estimation is Extreme Value Theory (EVT). The main results from EVT will be reviewed and illustrated on various examples from insurance and finance.

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